Markov Chains – Problem (31/365)

Going to work on a few more problems before I take a look at Random Walks, Martingales, and Markov chains together as they share some things in common as presented in the book.

Let \theta = (\theta_0, \dots, \theta_n) be a Markov chain with values in X and f = f(x) a function. Will the sequence (f(\theta_0), \dots, f(\theta_n)) form a Markov chain? Will the reversed sequence (\theta_n, \dots, \theta_0) form a Markov chain?

For the first part, the answer is yes because

\displaystyle  P(f(\theta_{k+1})=a_{k+1}|f(\theta_{1})=a_{1},\dots,f(\theta_{k})=a_{k}) \\ = \sum_{f(b_{i})=a_{i}}P(\theta_{k+1}=b_{k+1}|\theta_{1}=b_{1},\dots,\theta_{k}=b_{k}) \\ \mbox{ because of finite phase space the sum is well-defined} \\ = \sum_{f(b_{k+1})=a_{k+1},f(b_{k})=a_{k}}P(\theta_{k+1}=b_{k+1}|\theta_{k}=b_{k})\mbox{ by markov property} \\ = P(f(\theta_{k+1})=a_{k+1}|f(\theta_{k})=a_{k})

The reversed sequence (\theta_n, \dots, \theta_0) will also form a Markov chain

\displaystyle  P(\theta_{k-1} = a_{k-1}|\theta_{k}=a_{k},\dots,\theta_{n}=a_{n}) \\ = \frac{P(\theta_{k-1}=a_{k-1},\theta_{k}=a_{k},\dots,\theta_{n}=a_{n})}{P(\theta_{k}=a_{k},\dots,\theta_{n}=a_{n})} \\ = \frac{P(\theta_{n}=a_{n}|\theta_{n-1}=a_{n-1})\dots P(\theta_{k}=a_{k}|\theta_{k-1}=a_{k-1})P(\theta_{k-1}=a_{k-1})}{P(\theta_{n}=a_{n}|\theta_{n-1}=a_{n-1})\dots P(\theta_{k+1}=a_{k+1}|\theta_{k}=a_{k})P(\theta_{k}=a_{k})}\mbox{ by markov property} \\ = \frac{P(\theta_{k}=a_{k}|\theta_{k-1}=a_{k-1})P(\theta_{k-1}=a_{k-1})}{P(\theta_{k}=a_{k})} \\ = \frac{P(\theta_{k}=a_{k},\theta_{k-1}=a_{k-1})}{P(\theta_{k}=a_{k})} \\ = P(\theta_{k-1}=a_{k-1}|\theta_{k}=a_{k})

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